I don't know exactly why it is pleasurable, but to me it's sometimes about the sound itself. I just find some sounds pleasing, like the vibration of a cello string being bowed or a dirty electric guitar riff with tons of distortion. Very specifically I
love the distortion produced by the Boss HM-2 pedal, which a lot of my favorite metal bands use. Perhaps it's something about the "texture" of certain sounds that I find very appealing.
It's not just the sound itself though, there's also something about a good riff or a well-written chorus. I don't get music that's too free-form, like improvisational jazz or stuff with way too many tempo changes. There has got to be a groove, a rhythm, a flow, a drive and a connection between the instruments, so they're playing together, to create a whole that is greater than the sum of its parts.
There is obviously also something to be said for emotional connections to specific songs or passages. As an example just off the top of my head, I read The Life and Times of Scrooge McDuck as they were published when I was 7-9 years old, they were part of my formative years, as you might say.
So when I listen to Tuomas Holopainen's 2014 concept album Music Inspired by the Life and Times of Scrooge, it just touches something in me, I get all emotional and well up, especially at this song https://www.youtube.com/watch?v=JWwSVOo5K_k
I obviously don't expect other people to have quite the same reaction, but to me, aside from being a hauntingly beautiful piece of music, it also tugs deeply at my childhood nostalgia, and elevates the music to a whole new level for me.